/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.multicurve;
import java.util.Set;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* For an instrument, computes the sensitivity of a value (often the par spread) to the parameters used in the curve.
* The computation is done by shifting each node point in each curve; the curves must be interpolated yield curves for discounting and forward curves.
* The return format is SimpleParameterSensitivity object.
* This is a very inefficient way to compute the sensitivities. It should be used only for tests purposes or when speed is irrelevant.
*/
public class SimpleParameterSensitivityMulticurveDiscountInterpolatedFDCalculator {
/**
* The value calculator.
*/
private final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> _valueCalculator;
/**
* The shift used for finite difference.
*/
private final double _shift;
/**
* Constructor
* @param valueCalculator The value calculator.
* @param shift The shift used for finite difference.
*/
public SimpleParameterSensitivityMulticurveDiscountInterpolatedFDCalculator(final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> valueCalculator, final double shift) {
ArgumentChecker.notNull(valueCalculator, "Calculator");
_valueCalculator = valueCalculator;
_shift = shift;
}
/**
* Compute the sensitivity by finite difference on all points. The curves must be interpolated yield curves.
* Only the discounting and forward curves sensitivity is computed.
* @param instrument The instrument.
* @param multicurve The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
* @return The parameter sensitivity.
*/
public SimpleParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final MulticurveProviderDiscount multicurve) {
SimpleParameterSensitivity result = new SimpleParameterSensitivity();
// Discounting
final Set<Currency> ccyDiscounting = multicurve.getCurrencies();
for (final Currency ccy : ccyDiscounting) {
final YieldAndDiscountCurve curve = multicurve.getCurve(ccy);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[] sensitivity = new double[nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketDscBumpedPlus = multicurve.withDiscountFactor(ccy, dscBumpedPlus);
final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketDscBumpedMinus = multicurve.withDiscountFactor(ccy, dscBumpedMinus);
final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
sensitivity[loopnode] = valueDiff / (2 * _shift);
}
final String name = multicurve.getName(ccy);
result = result.plus(name, new DoubleMatrix1D(sensitivity));
}
// Forward ON
final Set<IndexON> indexON = multicurve.getIndexesON();
for (final IndexON index : indexON) {
final YieldAndDiscountCurve curve = multicurve.getCurve(index);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[] sensitivity = new double[nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketFwdBumpedPlus = multicurve.withForward(index, fwdBumpedPlus);
final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketFwdBumpedMinus = multicurve.withForward(index, fwdBumpedMinus);
final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
sensitivity[loopnode] = valueDiff / (2 * _shift);
}
final String name = multicurve.getName(index);
result = result.plus(name, new DoubleMatrix1D(sensitivity));
}
// Forward Ibor - symmetrical
final Set<IborIndex> indexForward = multicurve.getIndexesIbor();
for (final IborIndex index : indexForward) {
final YieldAndDiscountCurve curve = multicurve.getCurve(index);
ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
final YieldCurve curveYield = (YieldCurve) curve;
ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
final double[] sensitivity = new double[nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedPlus[loopnode] += _shift;
final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketFwdBumpedPlus = multicurve.withForward(index, fwdBumpedPlus);
final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
yieldBumpedMinus[loopnode] -= _shift;
final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
curveInt.getInterpolator(), true));
final MulticurveProviderDiscount marketFwdBumpedMinus = multicurve.withForward(index, fwdBumpedMinus);
final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
sensitivity[loopnode] = valueDiff / (2 * _shift);
}
final String name = multicurve.getName(index);
result = result.plus(name, new DoubleMatrix1D(sensitivity));
}
return result;
}
}